Daily Returns


BUSI 721
Jones Graduate School of Business
Rice University

Kerry Back

Daily SPY returns

SPY = S&P 500 ETF

Box and density plots of daily SPY returns

Normal distribution has same mean and std dev as actual

Autocorrelations of daily SPY returns

Does today’s return predict tomorrow’s?

No, the autocorrelation is almost zero.

Autocorrelations of absolute returns

Does today’s absolute return predict tomorrow’s?

Yes, volatility is persistent.